Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1345
Annualized Std Dev 0.2020
Annualized Sharpe (Rf=0%) 0.6658

Row

Daily Return Statistics

Close
Observations 3743.0000
NAs 1.0000
Minimum -0.1057
Quartile 1 -0.0052
Median 0.0011
Arithmetic Mean 0.0006
Geometric Mean 0.0005
Quartile 3 0.0071
Maximum 0.1197
SE Mean 0.0002
LCL Mean (0.95) 0.0002
UCL Mean (0.95) 0.0010
Variance 0.0002
Stdev 0.0127
Skewness -0.2819
Kurtosis 8.2141

Downside Risk

Close
Semi Deviation 0.0093
Gain Deviation 0.0085
Loss Deviation 0.0100
Downside Deviation (MAR=210%) 0.0138
Downside Deviation (Rf=0%) 0.0091
Downside Deviation (0%) 0.0091
Maximum Drawdown 0.4970
Historical VaR (95%) -0.0199
Historical ES (95%) -0.0312
Modified VaR (95%) -0.0192
Modified ES (95%) -0.0348
From Trough To Depth Length To Trough Recovery
2008-08-18 2009-03-09 2011-02-11 -0.4970 628 140 488
2020-01-23 2020-03-23 2020-07-15 -0.3325 121 42 79
2011-05-20 2011-11-25 2012-09-21 -0.2208 339 132 207
2018-10-02 2018-12-24 2019-03-01 -0.1935 103 58 45
2015-08-06 2016-02-08 2016-04-13 -0.1435 173 128 45

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA 1.1 0.4 -0.1 0.2 -0.3 -0.5 0 -0.6 0.3
2007 0.1 -0.4 0.2 0.9 0.2 -0.5 1.5 0.6 1.3 -2.1 0.5 -0.7 1.6
2008 1.7 -1.4 2.8 1.9 0.2 0 -0.3 -1.1 -1.2 1.9 -6.5 2.5 0.1
2009 -0.2 -4 -0.6 0 2.1 -0.9 0.8 -1.6 -2.1 -2.2 1 -0.9 -8.5
2010 0.5 2.3 0.6 0 -1.4 -1.1 0.7 2.7 0.2 -0.4 2.2 -0.8 5.6
2011 1.2 -0.6 1 -0.1 -1.7 1.9 -2.4 -1.2 -2.1 -3.7 0.5 -0.1 -7.2
2012 1.6 0.1 0.2 1.1 -2.6 2.8 -0.2 0.3 0.2 1.1 0 1.5 6.1
2013 1.2 1.1 -0.8 -1 -1.3 0.9 1.7 -0.8 0.7 -0.3 -0.2 0.1 1.1
2014 -0.4 0 0.9 0.5 0.1 1.1 -0.2 0.6 0.1 0.7 -0.2 -1 2.2
2015 -1.8 -0.4 -1.2 0.8 0.6 0.5 0.4 -3.2 0.8 0 1 -0.9 -3.5
2016 0.9 0.8 1.1 -0.8 0.5 0.5 0.5 0.1 1.4 -1.2 -1.6 -0.1 2.1
2017 0.3 1.5 0 0.4 1.6 0.3 -0.3 0 0.9 -0.5 -0.6 -0.8 2.9
2018 -0.1 -2 1.6 1.1 1.3 -0.2 0.2 0.3 0.1 1.9 1 1.5 6.7
2019 -0.5 1.8 -0.2 -1 -0.5 0.8 -0.4 0.1 -1.5 0 -0.4 0.4 -1.5
2020 -2.6 -2 -5.5 -2.1 -0.6 0.3 -0.2 0 -0.2 -0.5 0.2 0.9 -11.8
2021 0.5 1.8 0.6 NA NA NA NA NA NA NA NA NA 2.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-05-05  49.7 SPY    133.  0.0088    0.008    0.0115   0.0495    0.128    0.411   0.0609 GLD    68.0  0.0076   0.0446
2 2006-05-08  49.6 SPY    132. -0.00120   0.015    0.0114   0.0455    0.130    0.417   0.0418 GLD    67.6 -0.0063   0.0368
3 2006-05-09  49.4 SPY    133.  0.002     0.0094   0.0238   0.0569    0.126    0.434   0.0457 GLD    69.7  0.0314   0.047 
4 2006-05-10  49.2 SPY    133. -0.0005    0.0127   0.0217   0.0468    0.137    0.414   0.0586 GLD    70.4  0.01     0.059 
5 2006-05-11  48.8 SPY    131. -0.0121   -0.0031   0.018    0.0359    0.117    0.380   0.0283 GLD    71.0  0.0092   0.0526
6 2006-05-12  48.2 SPY    129. -0.0131   -0.0248   0.0028   0.0205    0.115    0.365   0.0238 GLD    71.1  0.0013   0.046 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart